Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0247
Annualized Std Dev 0.0942
Annualized Sharpe (Rf=0%) 0.2621

Row

Daily Return Statistics

Close
Observations 3382.0000
NAs 1.0000
Minimum -0.0421
Quartile 1 -0.0034
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0035
Maximum 0.0462
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0003
Variance 0.0000
Stdev 0.0059
Skewness 0.0823
Kurtosis 4.4216

Downside Risk

Close
Semi Deviation 0.0042
Gain Deviation 0.0040
Loss Deviation 0.0039
Downside Deviation (MAR=210%) 0.0100
Downside Deviation (Rf=0%) 0.0041
Downside Deviation (0%) 0.0041
Maximum Drawdown 0.1786
Historical VaR (95%) -0.0089
Historical ES (95%) -0.0128
Modified VaR (95%) -0.0090
Modified ES (95%) -0.0133
From Trough To Depth Length To Trough Recovery
2008-12-31 2009-06-10 2011-09-12 -0.1786 680 111 569
2016-07-11 2018-11-02 2019-08-14 -0.1508 780 586 194
2012-07-26 2013-12-31 2015-01-15 -0.1407 622 360 262
2020-08-05 2021-03-18 NA -0.1340 158 156 NA
2020-03-10 2020-03-18 2020-07-31 -0.1016 101 7 94

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0.6 -0.5 0.8 0.9
2008 0.3 1.2 -1.2 -0.1 0.7 0.2 -0.1 -0.6 0.8 -0.2 1.9 -2.4 0.5
2009 -0.2 -0.2 0.8 -0.5 -2.2 0.3 1.2 0.4 1 1.2 -0.6 -0.7 0.4
2010 -0.2 0.1 -0.3 0.8 0.4 0 1 -1.4 -0.1 -0.2 -1.4 1 -0.3
2011 -0.4 0.2 0.4 0.1 0.8 -0.2 0.6 1.2 0.8 1.9 -0.3 0.2 5.7
2012 -0.7 -0.6 -0.8 -0.4 1.4 -0.8 -0.4 0.8 0.2 -0.3 -0.1 -0.9 -2.5
2013 -0.7 0.3 0.4 0.6 -0.4 0.3 -1.3 0 -0.2 -0.7 -0.1 -0.5 -2.3
2014 0.3 0 -0.3 0.6 -0.2 -0.5 0.4 -0.1 1 -0.3 -0.1 0.1 1
2015 1.1 0.2 0.9 -0.8 -0.7 -0.8 0.7 0.6 0.2 0.4 0.7 0.4 2.9
2016 -0.2 -1 0 0.2 0.2 0.7 -0.5 -0.1 -0.5 0.1 -0.7 0.2 -1.6
2017 -0.3 -1.1 0.1 -0.4 0 -0.3 0.3 -0.4 0.1 0.1 0.7 0.3 -0.8
2018 -0.7 0.5 0.3 -0.2 -0.5 -0.2 -0.3 -0.3 -0.6 0 0 0.3 -1.6
2019 -0.6 -0.5 -0.9 0.2 0.9 0 1.2 0.1 0.1 -0.3 -0.2 -0.6 -0.6
2020 0.6 1.8 1.5 0.3 -0.1 -0.3 0.1 0.5 0 -0.5 -0.9 0.1 3.2
2021 0.1 -0.7 0.2 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-10-11  25.2 SPY    155. -0.00480   0.0094   0.0514  0.004      0.149    0.376    0.991 GLD    73.9  7.50e-3   0.0143
2 2007-10-12  25.2 SPY    156.  0.0055    0.0031   0.0498  0.0097     0.157    0.389    0.939 GLD    74.6  9.20e-3   0.0162
3 2007-10-15  25.2 SPY    155. -0.0084   -0.0001   0.041   0.0017     0.137    0.390    0.842 GLD    75.1  7.40e-3   0.036 
4 2007-10-16  25.3 SPY    154. -0.0079   -0.0173   0.0384 -0.0045     0.126    0.390    0.817 GLD    75.1 -3.00e-4   0.0278
5 2007-10-17  25.5 SPY    154.  0.0031   -0.0126   0.0117 -0.0053     0.127    0.386    0.739 GLD    74.5 -8.30e-3   0.0155
6 2007-10-18  25.6 SPY    154. -0.0036   -0.0114   0.0022  0.00120    0.127    0.376    0.776 GLD    76    2.01e-2   0.0283
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart